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Estimating Global Bank Network Connectedness
Demirer, Mert - 2017
the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and … dynamic network connectedness using rolling-window estimation. Statically, we find that global bank equity connectedness has a …We use LASSO methods to shrink, select and estimate the high-dimensional network linking the publicly-traded subset of …
Persistent link: https://www.econbiz.de/10012455541
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U.S. Banks and Global Liquidity
Correa, Ricardo - 2020
We characterize how U.S. global systemically important banks (GSIBs) supply short-term dollar liquidity in repo and foreign exchange swap markets in the post-Global Financial Crisis regulatory environment and serve as the "lenders-of-second-to-last-resort". Using daily supervisory bank balance...
Persistent link: https://www.econbiz.de/10012481346
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Systemic Risks in Global Banking : What Available Data can tell us and What More Data are Needed?
Cerutti, Eugenio - 2012
The recent financial crisis has shown how interconnected the financial world has become. Shocks in one location or … asset class can have a sizable impact on the stability of institutions and markets around the world. But systemic risk …
Persistent link: https://www.econbiz.de/10012460129
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Double Robustness of Local Projections and Some Unpleasant VARithmetic
Olea, José Luis Montiel; Plagborg-Møller, Mikkel; … - National Bureau of Economic Research - 2024
We consider impulse response inference in a locally misspecified stationary vector autoregression (VAR) model. The conventional local projection (LP) confidence interval has correct coverage even when the misspecification is so large that it can be detected with probability approaching 1. This...
Persistent link: https://www.econbiz.de/10014544773
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Dynamic Identification in VARs
Beaudry, Paul; Collard, Fabrice; Fève, Patrick; Guay, Alain - National Bureau of Economic Research - 2024
Most macroeconomic models view economic outcomes as being generated by a combination of endogenous and exogenous dynamic forces. In particular, the exogenous forces are generally modelled as a set of independent dynamics processes. In this paper we begin by showing that this dual dynamic...
Persistent link: https://www.econbiz.de/10014576627
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Inflation and Real Activity over the Business Cycle
Bianchi, Francesco; Nicolò, Giovanni; Song, Dongho - National Bureau of Economic Research - 2023
We study the relation between inflation and real activity over the business cycle. We employ a Trend-Cycle VAR model to control for low-frequency movements in inflation, unemployment, and growth that are pervasive in the post-WWII period. We show that cyclical fluctuations of inflation are...
Persistent link: https://www.econbiz.de/10014247995
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Local Projections vs. VARs : Lessons From Thousands of DGPs
Li, Dake; Plagborg-Møller, Mikkel; Wolf, Christian - National Bureau of Economic Research - 2022
We conduct a simulation study of Local Projection (LP) and Vector Autoregression (VAR) estimators of structural impulse responses across thousands of data generating processes, designed to mimic the properties of the universe of U.S. macroeconomic data. Our analysis considers various...
Persistent link: https://www.econbiz.de/10013334425
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On the Effects of Monetary Policy Shocks on Income and Consumption Heterogeneity
Chang, Minsu; Schorfheide, Frank - National Bureau of Economic Research - 2024
In this paper we use the functional vector autoregression (VAR) framework of Chang, Chen, and Schorfheide (2024) to study the effects of monetary policy shocks (conventional and informational) on the cross-sectional distribution of U.S. earnings (from the Current Population Survey), consumption,...
Persistent link: https://www.econbiz.de/10014486257
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Monetary Policy in a Data-Rich Environment
Bernanke, Ben - 2001
Most empirical analyses of monetary policy have been confined to frameworks in which the Federal Reserve is implicitly assumed to exploit only a limited amount of information, despite the fact that the Fed actively monitors literally thousands of economic time series. This article explores the...
Persistent link: https://www.econbiz.de/10012470341
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International Banking and Liquidity Risk Transmission : Lessons from Across Countries
Buch, Claudia M. - 2014
Network, established in 2012, brings together researchers from around the world with access to micro-level data on individual …
Persistent link: https://www.econbiz.de/10012458364